If you are running in Windows XP, take the following steps:
1) Exit Steam.
2) Go to the "Start" menu, select "Run", type "regedit" and click "OK".
3) Navigate to the following registry key: HKEY_CURRENT_USER\SOFTWARE\VALVE
4) Right click and select "Permissions"
5) Check the "Allow" boxes for "Admin" and "System" for both "Full control" and "Read".